I have encountered a problem using the CointegrationMLE with the JohansenTest. I have several time series that get a high t-statistic, but a low significances value via the .r method.
I have attached a .txt file with code to reproduce the error with one time series.
I call it an error, because when I run the same data in Matlab with johansen(y,0,2), y being the data (toolbox spartial econometrics). The results are different, a high Eigen statistic is very significant.
NULL: Eigen Statistic Crit 90% Crit 95% Crit 99%
r <= 0 variable 1 9.462 12.297 14.264 18.520
r <= 1 variable 2 7.098 2.705 3.841 6.635
I would also appreciate it if it was possible to simply get the boundary significance level straight from a method. Instead of only being able to test whether a certain it is significant at a certain level.